Vol compression
April 16, 2026
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–From friend Art Main SOFR option summary:
“In SOFR options, volume was extremely lite (37% of 20 day ADV)”
–Interest rate vol continues to sink (normalize?). Attached chart shows MOVE and TY 1M vol. MOVE index covers the curve, 2s, 5s, 10s, 30s. In order to give a sense of quantification, I looked at TY futures straddle level on the peak (March 26), and the first red SOFR, SFRM7.
On March 26: TYK6 110^ vs 110-055 had 29 days until expiry and settled 2’01 which I marked 8.1.
Yesterday, TYM6 111.5^ vs 111-115 had 37 days until expiry, and settled 1’17 which I marked 4.5. (wk 3 which isn’t listed yet would have 29 days and be worth 1’09)
On March 26 SFRM7 9625^ vs 9623 settled 1.035 with 442 dte. Yesterday same contract with 422 days, 9650^ settled 69.5 vs 9649.5.
–Yields up yesterday with tens +2.4 bps to 4.278%. SOFR contracts down 2.5 to 3.5. Peak contracts tied Z7 and H8 at 9661.5 or 3.385%.
–Philly Fed today expected 10.0 from 18.0. Jobless Claims expected 213k.
***one other note: May CL options expire today. Option OI spread across strikes. Near current price, peak calls: 90c with just 6715 open, 95c has 11k open. On the put side 95p 9.8k and 90p 8.4k. CLM6 is already doing more volume than CLK6, with CLM6 futures last print at 89.45.
–Really had not much else to write about. Option premium in the dirt. Volume low. But then I saw that Bessent and Hassett got into a physical brawl over policy.
